Changing Variances of Fundamentals and the Behavior of Returns (Economics)

在最近对外汇、长期溢价和股票回报的研究中，不同资产之间的事前可预测变动的时变性已成为一种经验规律性。刘易斯博士将研究基本面变化对这些事先收益的潜在影响。她将通过回答三个基本问题来研究这些影响：(1)在基本面变化显著的时期，不同类型资产的风险溢价是否系统地沿着ICAPM所暗示的方向移动？(2)基本面的变化是否充分回归均值，以帮助解释Lewis(1988)中发现的经验谜题。恒定协方差(“beta”)ICAPM在较短而不是较长的范围内被拒绝？(3)如果基本面的方差周期性地变化，市场对这些潜在变化的预期是否会加剧回报的时变性？刘易斯博士将教授一门国际宏观经济学/金融博士级别的课程。此外，她将根据自己的研究成果举办教师研讨会，参加教师会议，为女研究生提供咨询，并向本科生介绍商业和政府女经济学家的客座演讲。该项目进一步推动了VPW计划的目标，即：(1)为妇女提供机会，在NSF资助的工程和科学学科中发展她们的职业生涯；(2)通过提高受雇于工业、政府和学术机构的女科学家和工程师的知名度，鼓励妇女追求科学和工程事业。通过鼓励妇女参与科学，这是对国家未来科学活力的宝贵投资。

The time-varying nature of ex ante predictable movements across different assets has emerged as an empirical regularity in recent studies of foreign exchange, the term premium, and stock returns. Dr. Lewis will investigate the potential effects upon these ex ante returns from changing variances of fundamentals. She will study these effects by addressing three basic questions: (1) During periods of significant changes in the variance of fundamentals, do risk premia across different types of assets move systematically in the direction implied by the ICAPM? (2) Are the variances of fundamentals sufficiently mean-reverting to help explain the empirical puzzle found in Lewis (1988), that the constant covariance ("beta") ICAPM is rejected at shorter but not longer horizons? (3) If variances of fundamental change periodically, do market expectations of these potential shifts exacerbate the time-varying nature of returns? Dr. Lewis will teach a Ph.D. level course in international macroeconomics/finance. In addition, she will conduct faculty seminars based on her research, attend faculty meetings, counsel women graduate students, and present business and government women economist guest speakers to undergraduate students. This project furthers VPW program objectives which are (1) to provide opportunities for women to advance their careers in engineering and in the disciplines of science supported by NSF and (2) to encourage women to pursue careers in science and engineering by providing greater visibility for women scientists and engineers employed in industry, government, and academic institutions. By encouraging the participation of women in science, it is a valuable investment in the Nation's future scientific vitality.